TS Compare Tool

The TS Compare tool compares one or more time series models created with either the ETS or ARIMA macros, including ARIMA models that use covariates.

It provides a number of commonly used measures of model accuracy in terms of comparing each model's point forecasts with the actual values of the field being forecast for a holdout set of data. In addition, both a plot and a table of actual and forecast values are provided. The inputs to the macro are one or more time series models (which have been unioned together) that are based on the same field, and the same estimation data set, and an Alteryx data stream containing the actual values for the holdout period, along with values of any covariates that may have been used in creating the model. The actual values need to be for the time periods immediately following the time periods used to create the models.

Chapter 2, Section 5 of of Hyndman and Athanasopoulos's online book Forecasting: Principals and Practice provides a good discussion of the measures used to assess forecast model accuracy.

This tool uses the R programming language. Go to Options > Download Predictive Tools to install R and the packages used by the R Tool.

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*Hyndman, R.J. and Athanasopoulos, G. (2012) Forecasting: Principles and Practice.